ORCL Options History — October 2008

In October 2008, ORCL traded between $15.77 and $19.86. ATM implied volatility averaged 67.2%, placing in the 70.9% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded below realized volatility by 17.2% (HV 20d: 84.4%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.85.

Notable Days

2008-10-29: Highest Volume — 101,098 contracts
2008-10-06: Largest IV spike — 35.8% change
2008-10-02: Highest IV Rank — 100.0%
2008-10-27: Largest Expected Move — 20.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.55	$15.77	$19.86	$19.86	$18.29
Max Pain	$18.52	$18.00	$20.00	$20.00	$18.00
ATM IV	67.2%	44.3%	96.7%	45.8%	53.6%
Expected Move	17.5%	12.7%	20.9%	13.1%	15.4%
HV 20d	84.4%	61.0%	98.0%	64.4%	98.0%
HV 60d	57.1%	43.3%	68.1%	43.4%	68.1%
IV Rank	70.9%	30.8%	100.0%	71.7%	43.0%
IV Percentile	96.4%	84.1%	100.0%	91.7%	91.3%
Term Structure	2.9%	-8.2%	13.5%	-5.3%	13.5%
VWIV	61.2%	43.6%	75.6%	48.8%	52.2%
Skew 25d	16.1%	7.3%	25.3%	11.1%	15.5%
Skew 10d	31.8%	12.0%	55.8%	21.7%	38.2%
Call IV 25d	54.0%	40.0%	65.4%	40.0%	47.9%
Put IV 25d	70.1%	51.0%	87.9%	51.0%	63.4%
Bid-Ask Spread %	18.33	10.37	31.65	22.68	19.37
Gamma HHI	0.11	0.10	0.14	0.13	0.10
Net GEX	-217.0K	-3.2M	2.5M	2.5M	2.3M
Net DEX	202.6M	3.4M	377.2M	3.4M	74.5M
Net VEX	-3.1M	-3.7M	-2.7M	-3.4M	-3.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.22	3.15	0.84	0.35
Total Volume	46,803.435	9,847	101,098	18,889	17,079
Total OI	1,078,442.478	920,724	1,283,492	920,724	1,283,492

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2008-10-01	$19.86	$20.00	45.8%	13.1%	64.4%	71.7%	48.8%	11.1%	-5.3%	2.5M	3.4M	-3.4M	0.84	22.68	10,253	8,636	480,441	440,283
2008-10-02	$19.49	$20.00	58.3%	16.7%	61.0%	100.0%	57.6%	8.6%	-8.2%	1.6M	29.0M	-3.4M	0.47	14.74	27,369	12,813	481,065	445,121
2008-10-03	$19.48	$20.00	53.6%	15.4%	61.0%	87.6%	50.5%	7.3%	-3.6%	1.6M	33.0M	-3.4M	0.69	16.82	15,480	10,633	491,011	452,869
2008-10-06	$18.30	$20.00	72.8%	17.6%	63.2%	100.0%	61.5%	17.4%	-1.6%	225.3K	161.1M	-3.2M	1.06	19.48	32,726	34,663	500,025	457,551
2008-10-07	$16.78	$20.00	76.7%	18.4%	69.9%	100.0%	65.5%	13.6%	0.6%	-954.1K	278.9M	-2.8M	0.79	18.61	31,016	24,399	515,713	475,592
2008-10-08	$16.88	$20.00	78.1%	18.3%	70.1%	100.0%	61.3%	14.0%	-0.0%	-936.8K	273.4M	-2.9M	0.79	15.16	38,656	30,670	529,530	484,417
2008-10-09	$16.21	$18.00	89.3%	20.4%	70.8%	100.0%	68.3%	10.9%	2.2%	-1.1M	295.5M	-2.8M	1.07	31.65	16,064	17,185	545,836	505,353
2008-10-10	$16.68	$18.00	96.1%	20.8%	71.6%	100.0%	69.9%	17.2%	-0.9%	-772.0K	261.6M	-3.0M	0.54	23.26	32,066	17,323	550,387	515,299
2008-10-13	$18.86	$18.00	71.8%	16.3%	84.7%	67.6%	59.5%	17.9%	1.4%	1.4M	84.8M	-3.5M	0.68	17.23	41,513	28,209	558,926	517,832
2008-10-14	$17.69	$18.00	80.2%	16.9%	87.7%	78.9%	59.5%	14.0%	0.8%	-203.7K	209.3M	-3.2M	0.98	20.57	19,768	19,424	578,240	524,148
2008-10-15	$15.95	$18.00	96.7%	20.1%	93.5%	100.0%	68.0%	10.7%	0.7%	-1.6M	340.4M	-2.8M	0.47	17.41	6,683	3,164	586,872	531,409
2008-10-16	$16.99	$18.00	66.7%	19.1%	95.7%	60.3%	69.3%	19.1%	0.9%	-1.4M	282.3M	-3.0M	0.80	19.16	10,805	8,692	585,025	524,672
2008-10-17	$17.02	$18.00	63.4%	18.2%	91.8%	56.0%	63.1%	16.4%	2.7%	-3.2M	267.9M	-3.0M	0.95	21.45	19,693	18,748	587,949	527,563
2008-10-20	$18.16	$18.00	44.3%	12.7%	95.3%	30.8%	43.6%	13.1%	13.1%	-79.2K	161.3M	-3.2M	0.23	20.88	28,481	6,584	532,376	501,358
2008-10-21	$17.69	$18.00	49.5%	14.2%	95.6%	37.6%	49.6%	13.8%	7.2%	48.4K	195.8M	-3.1M	0.92	18.82	27,193	25,118	551,985	502,780
2008-10-22	$17.17	$18.00	63.6%	18.2%	95.7%	56.2%	66.2%	18.8%	2.3%	-518.2K	245.6M	-3.0M	0.38	16.63	24,107	9,170	556,732	513,545
2008-10-23	$16.95	$18.00	63.8%	18.3%	94.9%	56.5%	70.1%	20.6%	2.8%	-575.8K	250.6M	-2.9M	3.15	16.57	14,727	46,383	560,340	517,254
2008-10-24	$16.20	$18.00	72.5%	20.8%	95.5%	68.0%	75.6%	21.8%	5.8%	-1.6M	328.2M	-2.8M	1.54	11.77	31,361	48,394	561,836	550,680
2008-10-27	$15.77	$18.00	72.9%	20.9%	90.8%	68.6%	73.2%	25.3%	3.4%	-2.3M	377.2M	-2.7M	1.00	10.37	18,556	18,595	578,173	582,253
2008-10-28	$17.62	$18.00	56.6%	16.2%	95.4%	46.9%	62.4%	23.8%	9.2%	-774.1K	214.9M	-3.3M	0.27	14.07	27,934	7,409	581,245	595,717
2008-10-29	$17.29	$18.00	63.7%	18.3%	95.4%	56.3%	57.6%	22.3%	7.6%	-237.3K	206.5M	-3.2M	1.40	16.05	42,113	58,985	598,839	586,401
2008-10-30	$18.32	$18.00	55.2%	15.8%	98.0%	45.0%	54.4%	17.6%	12.9%	1.4M	84.1M	-3.7M	0.22	18.93	71,987	15,652	619,192	636,850
2008-10-31	$18.29	$18.00	53.6%	15.4%	98.0%	43.0%	52.2%	15.5%	13.5%	2.3M	74.5M	-3.6M	0.35	19.37	12,669	4,410	642,715	640,777